I read Hull (2009) on implied volatilies. I understand that (given a negatively skewed return distribution) an OTM-Put is more worth than under a normal distribution and that a OTM-Call is worth less ...
What is the relation between return volatility and return rank volatility, and how can I control the latter?
I have no experience in finance, but I've been playing around with a virtual portfolio. I'm trying to control the "rank volatility" distribution - that is, the volatility of a stock's daily rank in ...
It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
Does an option pricing model with a closed form European option price exist that takes into account randomly distributed drift, volatility, and variance rate? I prefer a modification to the variance ...
I am using Pareto distribution to fit a serie of survival rates (with least square). My ultimate goal is to use this fitting curve for prediction. Thus I would mainly focus on the tail of the ...